Hmm... If you have something that will play it Call of Cthulhu: Dark Corners of the Earth might be good. It's not without it share of bugs but it stands out by virtue of the tools it uses to truly immerse the player in the game, through effective feedback and manipulation of all 3 gaming senses. (Naturally, these are sight, sound, and thanks to the invention of the vibrating controller, touch. Until someone creates Smellovision technology, that's as far as it goes.) I cannot recall another game that does such a fantastic job of conveying terror, vertigo, hallucinations, a real sense of bodily harm, and insanity.
Throughout the game, your character is exposed to the aforementioned horrors in doses of varying sizes. When faced with such things, Jack may undergo a number of alterations in his perceptions. Auditory, your hearing may become muffled except for the pounding of your own heart, you may hear voices from people in your past, or you might start paranoically whispering to yourself in fear, saying things like “What am I doing here? I'm going to die! What the hell are those things?” Visually, the screen may grey out, the image can blur whenever you move, and the screen can rock back and forth wildly. Though not strictly a sanity effect, you will also experience vertigo whenever looking down from a high place, and the sensation is likewise genuine. Most often, more than one of these effects will occur at once, leading to a strong sense of disorientation and panic at times. The sanity system will be activated whenever you are exposed to something otherworldly, are being hunted by enemies, are seriously injured, or in other situations. There are also specific ‘sanity hits', where you suddenly spot something terrible like a pile of savaged bodies, causing the shot to zoom in suddenly and making your heart rate and other effects shoot right up. These hits can be avoided by not looking too directly at the objects of terror. So unlike virtually every other video game in existence, it is often NOT to your benefit to examine things of interest that you may catch at the edge of your view. Sanity will recover slowly if you find a safe place to rest and wait, but fail to do this and Jack's terror will eventually take over and he will take his own life! How many other games can you name where suicide is a game mechanic?
Another one I can think of is Koudelka, a RPG set in the 19th Century. It's gothic horror that comes before Shadow Hearts... Actually you meet the main character in Koudelka while you play the first Shadow Hearts.